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Luc Bauwens : Citation Profile


Are you Luc Bauwens?

Université Catholique de Louvain

22

H index

40

i10 index

2059

Citations

RESEARCH PRODUCTION:

49

Articles

152

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   34 years (1983 - 2017). See details.
   Cites by year: 60
   Journals where Luc Bauwens has often published
   Relations with other researchers
   Recent citing documents: 205.    Total self citations: 58 (2.74 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba4
   Updated: 2017-12-16    RAS profile: 2017-12-13    
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Relations with other researchers


Works with:

Storti, Giuseppe (6)

Braione, Manuela (4)

Otranto, Edoardo (3)

Wang, Cindy Shin-huei (2)

hsiao, cheng (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Luc Bauwens.

Is cited by:

McAleer, Michael (74)

Caporin, Massimiliano (47)

Rombouts, Jeroen (35)

Maheu, John (32)

Asai, Manabu (26)

Stentoft, Lars (26)

Hafner, Christian (25)

Hautsch, Nikolaus (24)

van Dijk, Herman (21)

Lucas, Andre (21)

Chang, Chia-Lin (19)

Cites to:

Engle, Robert (75)

Bollerslev, Tim (38)

Rombouts, Jeroen (31)

Jasiak, Joann (20)

Andersen, Torben (19)

Shephard, Neil (17)

Diebold, Francis (17)

Teräsvirta, Timo (16)

Laurent, Sébastien (16)

van Dijk, Herman (15)

Hafner, Christian (14)

Main data


Where Luc Bauwens has published?


Journals with more than one article published# docs
Journal of Econometrics10
Computational Statistics & Data Analysis5
Econometrics Journal3
Annals of Economics and Statistics3
Empirical Economics3
Journal of Applied Econometrics2
International Journal of Forecasting2
Journal of Empirical Finance2
Econometric Reviews2
Journal of Applied Econometrics2
Journal of Business & Economic Statistics2
European Economic Review2

Working Papers Series with more than one paper published# docs
Discussion Papers (ECON - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques11
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles5
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute5
Discussion Papers (REL - Recherches Economiques de Louvain) / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)3
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Computing in Economics and Finance 2002 / Society for Computational Economics2

Recent works citing Luc Bauwens (2017 and 2016)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina . In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2016State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2016). Uzeda, Luis . In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2016-632.

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2016Price duration versus trading volume in high-frequency data for selected DAX companies. (2016). Gurgul, Henryk ; Syrek, Robert ; Mitterer, Christoph . In: Managerial Economics. RePEc:agh:journl:v:17:y:2016:i:2:p:241-260.

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2016PRICE VOLATILITY TRANSMISSION FROM OIL TO ENERGY AND NON-ENERGY AGRICULTURAL COMMODITIES. (2016). Bittencourt, Mauricio ; Lobo, Mauricio Vaz ; Borges, Leonardo Chaves . In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:181.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:1601.05199.

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2016The role of volume in order book dynamics: a multivariate Hawkes process analysis. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Bacry, Emmanuel . In: Papers. RePEc:arx:papers:1602.07663.

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2016What does past correlation structure tell us about the future? An answer from network filtering. (2016). di Matteo, Tiziana ; Aste, Tomaso . In: Papers. RePEc:arx:papers:1605.08908.

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2016On the usual misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: Papers. RePEc:arx:papers:1606.02045.

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2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals. (2017). Pozzi, Lorenzo ; Sadaba, Barbara . In: Staff Working Papers. RePEc:bca:bocawp:17-22.

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2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Mauad, Roberto ; Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio . In: Working Papers Series. RePEc:bcb:wpaper:415.

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2017The beneficial aspect of FX volatility for market liquidity. (2017). SHIM, ILHYOCK ; Koosakul, Jakree . In: BIS Working Papers. RePEc:bis:biswps:629.

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2016Macroeconomic forecasting and structural changes in steady states. (2016). Louzis, Dimitrios. In: Working Papers. RePEc:bog:wpaper:204.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2016Structural changes in inflation dynamics: multiple breaks at different dates for different parameters. (2016). Eo, Yunjong. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:3:p:211-231:n:6.

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2016Estimating stochastic volatility models using realized measures. (2016). Jeremias, Bekierman ; Bastian, Gribisch . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:3:p:279-300:n:3.

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2017Nonstationary autoregressive conditional duration models. (2017). Anuj, Mishra ; Variyam, Ramanathan Thekke. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:22:n:2.

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2016Contagion in International Stock and Currency Markets During Recent Crisis Episodes. (2016). Tuteja, Divya ; Dua, Pami. In: Working papers. RePEc:cde:cdewps:258.

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2016Volatility and a Century of Energy Markets Dynamics. (2016). Serletis, Apostolos ; Xu, Libo . In: Working Papers. RePEc:clg:wpaper:2016-29.

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2016Bayesian Semiparametric Forecasts of Real Interest Rate Data. (2016). Deschamps, Philippe. In: CORE Discussion Papers. RePEc:cor:louvco:2016050.

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2016Forecasting Macroeconomic Variables under Model Instability. (2016). Pettenuzzo, Davide ; Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11355.

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2017Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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2016Are migrants more productive than stayers? Some evidence for a set of highly productive academic economists. (2016). Ruiz-Castillo, Javier ; carrasco, raquel ; Albarran, Pedro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23424.

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23436.

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2016Modelling and Forecasting with Financial Duration Data Using Non-linear Model. (2016). Kok-Haur, NG ; Ah-Hin, Pooi ; Huei-Ching, Soo . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:2:p:79-92.

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Lütkepohl, Helmut ; Schlaak, Thore ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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2017On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach. (2017). el Abed, Riadh . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00370.

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2017On log-symmetric duration models applied to high frequency financial data. (2017). Saulo, Helton ; Leo, Jeremias . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00030.

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2017Risk parity in the brazilian market. (2017). de Souza, Pierre O ; Righi, Marcelo B ; Borenstein, Denis ; Caldeira, Joo F ; Filomena, Tiago P. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00061.

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2016Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia. (2016). Haque, Mohammad Imdadul ; Afsal, E M. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-03-27.

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2016Forecasting volatility of wind power production. (2016). Shen, Zhiwei ; Ritter, Matthias. In: Applied Energy. RePEc:eee:appene:v:176:y:2016:i:c:p:295-308.

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2016The implications of monetary expansion in China for the US dollar. (2016). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Journal of Asian Economics. RePEc:eee:asieco:v:46:y:2016:i:c:p:71-84.

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2016The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

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2016On conditional covariance modelling: An approach using state space models. (2016). Hendrych, R ; Cipra, T. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:304-317.

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2016Matrix exponential stochastic volatility with cross leverage. (2016). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:331-350.

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2016Efficient Gibbs sampling for Markov switching GARCH models. (2016). Billio, Monica ; Casarin, Roberto . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:37-57.

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2016Semiparametric score driven volatility models. (2016). Lucas, Andre ; Blasques, Francisco ; Ji, Jiangyu . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:58-69.

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2016Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown. (2016). Sucarrat, Genaro ; Escribano, Alvaro ; Gronneberg, Steffen . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:582-594.

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2016Dynamic equicorrelation stochastic volatility. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813.

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2016A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection. (2016). Galeano, Pedro ; Virbickait, Audron ; Ausin, Concepcion M. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:814-829.

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2016Income inequality decomposition using a finite mixture of log-normal distributions: A Bayesian approach. (2016). Lubrano, Michel ; Junior, Abdoul Aziz . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:830-846.

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2016Fast computation of the deviance information criterion for latent variable models. (2016). Grant, Angelia ; Chan, Joshua. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:847-859.

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2016Solvency capital requirement for a temporal dependent losses in insurance. (2016). Belkacem, Lotfi ; de Peretti, Christian ; Araichi, Sawssen . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:588-598.

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2016A dead-end tunnel or the light at the end of it: The role of BRICs in European exports. (2016). Zeidan, Rodrigo ; Fedoseeva, Svetlana. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:237-248.

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2016Financial crises and dynamic linkages across international stock and currency markets. (2016). Tuteja, Divya ; Dua, Pami. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:249-261.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Do precious metal prices help in forecasting South African inflation?. (2017). Katzke, Nico ; GUPTA, RANGAN ; Balcilar, Mehmet. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:63-72.

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2016Particle efficient importance sampling. (2016). Scharth, Marcel ; Kohn, Robert . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:133-147.

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2016Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers. (2016). Escribano, Alvaro ; Blazsek, Szabolcs. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:145-163.

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2016Inference in VARs with conditional heteroskedasticity of unknown form. (2016). Trenkler, Carsten ; Jentsch, Carsten ; Bruggemann, Ralf . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:69-85.

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2016Bayesian semiparametric modeling of realized covariance matrices. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:19-39.

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2016Structural analysis with Multivariate Autoregressive Index models. (2016). Marcellino, Massimiliano ; Carriero, Andrea ; Kapetanios, George . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:332-348.

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2016Striated Metropolis–Hastings sampler for high-dimensional models. (2016). Zha, Tao ; Waggoner, Daniel ; Wu, Hongwei . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:406-420.

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2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain ; Götz, Thomas ; Gotz, Thomas B. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

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2016Modeling covariance breakdowns in multivariate GARCH. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:1-23.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2017Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111.

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2017Frontier and emerging government bond markets. (2017). Swinkels, Laurens ; Piljak, Vanja. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:232-255.

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2016Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67.

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2016The benefits of improved covariance estimation. (2016). Turtle, H J ; Wang, Kainan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:233-246.

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2016Monitoring multivariate variance changes. (2016). Galeano, Pedro ; Pape, Katharina ; Wied, Dominik . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:54-68.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2016Volatility linkages between energy and agricultural commodity prices. (2016). Schulz, Franziska ; López Cabrera, Brenda. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:190-203.

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2016Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. (2016). Basher, Syed ; Sadorsky, Perry. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:235-247.

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2016Market-specific news and its impact on forward premia on electricity markets. (2016). Lazarczyk, Ewa. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:326-336.

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2016Volatility and a century of energy markets dynamics. (2016). Serletis, Apostolos ; Xu, Libo . In: Energy Economics. RePEc:eee:eneeco:v:55:y:2016:i:c:p:1-9.

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2016Changes in the global oil market. (2016). Osborn, Denise ; Bataa, Erdenebat ; Izzeldin, Marwan . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:161-176.

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2016Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis. (2016). Hasanov, Akram Shavkatovich ; Shaiban, Mohammed Sharaf ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:16-27.

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2017Oil prices and stock markets: Does the effect of uncertainty change over time?. (2017). Park, Sung Y. ; Joo, Young C. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:42-51.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; Kang, Sanghoon ; McIver, Ron . In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2016Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis. (2016). Karanasos, Menelaos ; Karoglou, Michail ; Yfanti, Stavroula . In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:332-349.

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2016Stock market risk in the financial crisis. (2016). Grout, Paul ; Zalewska, Anna . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:326-345.

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2016Will the crisis “tear us apart”? Evidence from the EU. (2016). Ingham, Hilary ; Pappas, Vasileios ; Steele, Gerry ; Izzeldin, Marwan . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:346-360.

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2016Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-ornberg, Juha . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:60-69.

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2016On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:7-14.

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2017Predictability and diversification benefits of investing in commodity and currency futures. (2017). cotter, john ; Poti, Valerio ; Eyiah-Donkor, Emmanuel . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:52-66.

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2017Exchange rate volatility response to macroeconomic news during the global financial crisis. (2017). Savaser, Tanseli ; Savaer, Tanseli ; ben Omrane, Walid . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:130-143.

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2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach. (2017). Tunaru, Radu ; Zheng, Teng. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:80-93.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz . In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2017Geopolitical risks and the oil-stock nexus over 1899–2016. (2017). GUPTA, RANGAN ; Kollias, Christos ; Papadamou, Stephanos ; Antonakakis, Nikolaos . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:165-173.

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2016Model risk of risk models. (2016). Danielsson, Jon ; Zer, Ilknur ; Valenzuela, Marcela ; James, Kevin R. In: Journal of Financial Stability. RePEc:eee:finsta:v:23:y:2016:i:c:p:79-91.

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2016Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods. (2016). Muradoglu, Yaz ; Mobarek, Asma ; Jun, AI ; Mollah, Sabur. In: Journal of Financial Stability. RePEc:eee:finsta:v:24:y:2016:i:c:p:1-11.

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2016Comparing the financial performance of timber REITs and other REITs. (2016). Piao, Xiaorui ; Xue, Yuan ; Mei, Bin . In: Forest Policy and Economics. RePEc:eee:forpol:v:72:y:2016:i:c:p:115-121.

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2016Nondeterministic ranking of university departments. (2016). Bonaccorsi, Andrea ; Cicero, Tindaro . In: Journal of Informetrics. RePEc:eee:infome:v:10:y:2016:i:1:p:224-237.

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2016Institutional investment, equity volume and volatility spillover: Causalities and asymmetries. (2016). Chakraborty, Sandip ; Kakani, Ram Kumar . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:44:y:2016:i:c:p:1-20.

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2016The sign switch effect of macroeconomic news in foreign exchange markets. (2016). Savaser, Tanseli ; ben Omrane, Walid ; Savaer, Tanseli . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:96-114.

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2016Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. (2016). Wang, Yudong ; Yang, LI ; Wu, Chongfeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:1-9.

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2017Model and survey estimates of the term structure of US macroeconomic uncertainty. (2017). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:591-604.

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2017Infinite hidden markov switching VARs with application to macroeconomic forecast. (2017). Hou, Chenghan. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1025-1043.

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2017Forecasting with VAR models: Fat tails and stochastic volatility. (2017). Pinter, Gabor ; Chiu, Ching-Wai ; Mumtaz, Haroon . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1124-1143.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Hotta, Luiz K ; Ruiz, Esther ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2016Multivariate moments expansion density: Application of the dynamic equicorrelation model. (2016). Perote, Javier ; Ñíguez Grau, Trino ; Iguez, Trino-Manuel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s216-s232.

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2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

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More than 100 citations found, this list is not complete...

Works by Luc Bauwens:


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2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
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2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics.
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2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche.
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1991The pathologie of the Natural Conjugate Prior Density in the Regression Model In: Annals of Economics and Statistics.
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2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics.
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1992Estimating End-Use Demand : A Bayesian Approach.(1992) In: CORE Discussion Papers.
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1992Estimating end-use demand: A Bayesian approach.(1992) In: UC3M Working papers. Economics.
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2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics.
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2009A Component GARCH Model with Time Varying Weights In: Studies in Nonlinear Dynamics & Econometrics.
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2007A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006.
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2011The Resistible Decline of European Science In: Recherches économiques de Louvain.
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2011The Resistible Decline of European Science.(2011) In: Discussion Papers (REL - Recherches Economiques de Louvain).
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2011The resistible decline of European science.(2011) In: LSE Research Online Documents on Economics.
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2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
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2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: CORE Discussion Papers.
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2011A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers.
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2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
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2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper Series.
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2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
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2013Modeling the dependence of conditional correlations on volatility.(2013) In: CORE Discussion Papers.
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1987Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods. In: CORE Discussion Papers.
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1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: Journal of Econometrics.
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1992Approximate HPD regions for testing residual autocorrelation using augmented regressions In: CORE Discussion Papers.
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1994Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems In: CORE Discussion Papers.
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1994Do Art Experts make Rational Estimates of Pre-Sale Prices ? In: CORE Discussion Papers.
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1995On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors In: CORE Discussion Papers.
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1996Bayesian Inference on GARCH Models using the Gibbs Sampler In: CORE Discussion Papers.
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1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: Econometrics Journal.
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1996Bayesian Inference on GARCH Models Using the Gibbs Sampler..(1996) In: G.R.E.Q.A.M..
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1997A Gibbs sampling approach to cointegration In: CORE Discussion Papers.
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1997Bayesian option pricing using asymmetric GARCH In: CORE Discussion Papers.
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1997Bayesian Option Pricing Using Asymmetric GARCH.(1997) In: G.R.E.Q.A.M..
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1997Modelling interest rates with a cointegrated VAR-GARCH model In: CORE Discussion Papers.
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1997The logarithmic ACD model: an application to market microstructure and NASDAQ In: CORE Discussion Papers.
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1998Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: CORE Discussion Papers.
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1999Adaptive polar sampling with an application to a Bayes measure of value-at-risk In: CORE Discussion Papers.
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1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Tinbergen Institute Discussion Papers.
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2000ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK.(2000) In: Computing in Economics and Finance 2000.
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1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Econometric Institute Research Papers.
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1999The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: CORE Discussion Papers.
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2004The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository.
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2000Identifying long-run behaviour with non-stationary data. In: CORE Discussion Papers.
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2000A comparison of financial duration models via density forecasts In: CORE Discussion Papers.
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2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
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2002A new class of multivariate skew densities, with application to GARCH models In: CORE Discussion Papers.
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2002A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002.
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2003The moments of Log-ACD models In: CORE Discussion Papers.
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2003News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: CORE Discussion Papers.
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2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance.
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2003Multivariate GARCH models: a survey In: CORE Discussion Papers.
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2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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2003Ranking economics departments in Europe: a statistical approach In: CORE Discussion Papers.
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2003Ranking Economics Departments in Europe: A Statistical Approach.(2003) In: Journal of the European Economic Association.
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2003Bayesian clustering of many GARCH models In: CORE Discussion Papers.
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2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
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2003Dynamic latent factor models for intensity processes In: CORE Discussion Papers.
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2005Exchange rate volatility and the mixture of distribution hypothesis In: CORE Discussion Papers.
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2005Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics.
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2005Bayesian inference for the mixed conditional heteroskedasticity model In: CORE Discussion Papers.
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2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
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2006General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2010General-to-specific modelling of exchange rate volatility: A forecast evaluation.(2010) In: International Journal of Forecasting.
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2007Modelling Financial High Frequency Data Using Point Processes.(2007) In: SFB 649 Discussion Papers.
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2009Efficient importance sampling for ML estimation of SCD models.(2009) In: Computational Statistics & Data Analysis.
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